货币政策环境对股票收益率的影响研究——一个基于虚拟变量回归模型的实证分析被引量：2

Does Monetary Policy Environments Affect the Stock Returns of China

在线阅读下载PDF

导出

摘要根据贴现率的变动,将货币政策环境分为扩张性和紧缩性两类,在此基础上就货币政策环境对于中国月度股票收益率的影响进行了实证研究。研究结果表明,总体而言,货币政策环境对于中国股票收益率的影响不显著,这意味着投资者无法根据货币政策环境的变动获取超额收益,这也表明中国股票市场的定价功能和资本配置功能还有待进一步完善。 According to the change of the discount rates, the monetary policy environment is divided into two categories ,that is expansive and restric- tive monetary policy environments, on the basis of this, this paper investigate the impact of the monetary policy on China＇s stock returns. The em- perical results show that the impact of the monetary policy on China＇s stock return is not significant, it implies that the investors couldnt attain excess return according to the change of the monetary policy environments, at the same time, it also shows that the functions of asset pricing and capital al- location of China＇ s stock market remains to be further improved.

作者曹云波

机构地区东北财经大学金融学院

出处《哈尔滨商业大学学报（社会科学版）》 CSSCI 2012年第6期3-8,共6页 Journal of Harbin University of Commerce:Social Science Edition

关键词货币政策环境贴现率股票收益虚拟变量 monetary policy environment, discount rate, stock returns, dummy variable

分类号 F224 [经济管理—国民经济] F821 [经济管理—财政学]

作者简介曹云波（1981-），女，黑龙江佳木斯人，博士研究生，从事保险精算与资本市场理论研究。

引文网络
相关文献

参考文献15

1Roger N. Waud, Public Interpretation of Federal Reserve Discount Rate Changes. Evidence on the "Announcement Effect" ,Econometrica, Vol. 38, No. 2 (Mar., 1970): 231 - 250.
2Douglas K. Pearce and V. Vance Roley, Stock Prices and Economic News, The Journal of Business, Vol. 58, No. 1 (Jan., 1985):49-67.
3Michael Smirlock and Jess Yawitz, Asset Returns, Discount Rate Changes, and Market Efficiency, The Journal of Finance, Vol. 40, No. 4 (Sep., 1985): 1141 - 1158.
4Timothy Cook and Thomas Hahn, The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates, Journal of Money, Credit and Banking, Vol. 20, No. 2 (May, 1988):167-180.
5Jensen, G. , and Johnson, R. , Discount Rate Changes and Security Returns in the US, 1962 - 1991. Journal of Banking and Finance 19 ( 1995 ) :79 - 95.
6Conover M. , Jensen, G. , Johnson, R. , Monetary conditions and international investing, Financial Analysts Journal, Vol. 55, No. 4(1999a) :38 -48.
7Conover M. , Jensen, G. , Johnson, R. , Monetary Enviranments and International Stock Returns. Journal of Banking and Finance 23(1999b) :1357-1381.
8Thorbecke, W. On stock market returns and monetary policy [J]. Journal of Finance, 1997,52 (2) : 635 - 654.
9Patelis,A. D. Stock return Predictability: the role of monetary policy. Journal of finance, 1997,52 ( 5 ): 1951 - 1972.
10C. Ioannidis, A. Kontonikas, The impact of monetay policy on stock prices, Journal of policy modeling, Vol. 30, Issue 1, (2008) :33 -53.

二级参考文献22

1张礼卿.人民币汇率制度:现状、改革方向和近期选择[J].国际金融研究,2004(10):12-16. 被引量：27
2梁曙霞.人民币汇率制度对我国货币政策独立性的影响分析[J].新金融,2006(2):28-31. 被引量：8
3李成,姜柳.当前汇率制度对货币政策影响的效应分析[J].上海金融,2007(3):4-8. 被引量：7
4Morgan, Donald P. Asymmetric Effects of Mo- netary Policy [ J ]. Economic Review, 1993,78 (2) :21 -34.
5Bah'o, Robert J. Unanticipated Money Grow and Unemployment in the United States [J]. The American Economic Review, 1977, ~ (2) :101 - 115.
6Barro, Robert J. Unanticipated Money, Output, and the Price Level in the United States [ J ]. The Journal of Political Economy, 1978, 86 (4) :549 -580.
7Barro, Robert J. & Mark Rush. Unanticipated Money and Economic Activity[ R]. Rational Ex- pectations and Economic Policy 1980 Stanley Fisher, ed. : Chicago, LL: University of Chica- go Press, 1980.
8Bernanke, Ben S. & Alan S. Blinder. The Federal Funds Rate and the Channels of Mone- tary Transmission [J]. The American Economic Review, 1992,82(4) :901 -921.
9Cover, James Peery. Asymmetric Effects of Pos- itive and Negative Money -Supply Shocks [ J ]. The Quarterly Journal of Economics, 1992,107 (4) : 1261 - 1282.
10DeLong, Bradford J. & Lawrence Summers. How Does Macroeconomic Policy Affect Output? [ J ]. Brookings Papers on Economic Activity, 1988(2) : 433 -480.